usually I create Command objects that will query the correct tables to gather a list of all the countries in one object, one for states with a country link, another with the cities with a state link, and finally districts with a district link. This is also the place to add an ' All' selection option.
then in the cascading parameters, display from the different command objects and use the links to each level to join the tables. I don't know about the textbox at the end as I believe that it will be list of available districts in this case.
HTH
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